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Sell on the news: Differences of opinion, short-sales constraints, and returns around earnings announcements

Citations

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Cited by:

  1. Mehmet Balcilar & Riza Demirer & Rangan Gupta & Mark E. Wohar, 2018. "Differences of opinion and stock market volatility: evidence from a nonparametric causality-in-quantiles approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 339-351, April.
  2. Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2017. "Divergence of sentiment and stock market trading," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 130-141.
  3. Terence Tai Leung Chong & Yueer Wu & Jue Su, 2020. "The Unusual Trading Volume and Earnings Surprises in China’s Market," JRFM, MDPI, vol. 13(10), pages 1-17, October.
  4. Chapman, Kimball, 2018. "Earnings notifications, investor attention, and the earnings announcement premium," Journal of Accounting and Economics, Elsevier, vol. 66(1), pages 222-243.
  5. Chen, Tao, 2020. "Does news affect disagreement in global markets?," Journal of Business Research, Elsevier, vol. 109(C), pages 174-183.
  6. Chen, Jiun-Lin & Sanger, Gary C. & Song, Wei-Ling, 2019. "The relationship insurance role of financial conglomerates: Evidence from earnings announcements," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 505-527.
  7. Antonio Gargano & Juan Sotes-Paladino & Patrick Verwijmeren, 2022. "Out of Sync: Dispersed Short Selling and the Correction of Mispricing," Working Papers 108, Red Nacional de Investigadores en Economía (RedNIE).
  8. Huang, Wei & Luo, Yan & Zhang, Chenyang, 2022. "Accounting-based downside risk and stock price crash risk: Evidence from China," Finance Research Letters, Elsevier, vol. 45(C).
  9. Benjamin M. Blau & Ryan J. Whitby, 2015. "The Volatility of Bid-Ask Spreads," Financial Management, Financial Management Association International, vol. 44(4), pages 851-874, October.
  10. Benjamin Blau & Kathleen Fuller & Chip Wade, 2015. "Short Selling and Price Pressure Around Merger Announcements," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(2), pages 143-160, October.
  11. Peng, Emma Y. & Yan, An & Yan, Meng, 2016. "Accounting accruals, heterogeneous investor beliefs, and stock returns," Journal of Financial Stability, Elsevier, vol. 24(C), pages 88-103.
  12. Li, Zhuo & Wen, Fenghua & Huang, Zhijian James, 2023. "Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance," Journal of Corporate Finance, Elsevier, vol. 78(C).
  13. Cai, Yu & Lau, Sie Ting, 2015. "Informed trading around earnings and mutual fund alphas," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 168-180.
  14. Pietro Perotti & Alfred Wagenhofer, 2014. "Earnings Quality Measures and Excess Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(5-6), pages 545-571, June.
  15. Zareei, Abalfazl, 2021. "Cross-momentum: Tracking idiosyncratic shocks," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 177-199.
  16. Constantinos Antoniou & Emilios C. Galariotis & Daniel Read, 2014. "Ambiguity Aversion, Company Size and the Pricing of Earnings Forecasts," European Financial Management, European Financial Management Association, vol. 20(3), pages 633-651, June.
  17. Siu Kai Choy & Hua Zhang, 2019. "Public news announcements, short-sale restriction and informational efficiency," Review of Quantitative Finance and Accounting, Springer, vol. 52(1), pages 197-229, January.
  18. Yen‐Cheng Chang & Pei‐Jie Hsiao & Alexander Ljungqvist & Kevin Tseng, 2022. "Testing Disagreement Models," Journal of Finance, American Finance Association, vol. 77(4), pages 2239-2285, August.
  19. Li, Xing & Hou, Keqiang, 2024. "Investors' opinion disagreement and abnormal trading around pre-earnings announcements," International Review of Financial Analysis, Elsevier, vol. 91(C).
  20. Blau, Benjamin M. & Van Ness, Robert A. & Warr, Richard S., 2012. "Short selling of ADRs and foreign market short-sale constraints," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 886-897.
  21. Sun, Kaisi & Wang, Hui & Zhu, Yifeng, 2023. "Salience theory in price and trading volume: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 38-61.
  22. Bai, Min & Qin, Yafeng, 2015. "Short sales constraints and price adjustments to earnings announcements: Evidence from the Hong Kong market," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 304-315.
  23. Huang, Alex YiHou, 2024. "Mechanisms of overpricing: An investigation on momentum crashes," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 118-142.
  24. Autore, Don M. & Jiang, Danling, 2019. "The preholiday corporate announcement effect," Journal of Financial Markets, Elsevier, vol. 45(C), pages 61-82.
  25. Zhang, Qi & Cai, Charlie X. & Keasey, Kevin, 2013. "Market reaction to earnings news: A unified test of information risk and transaction costs," Journal of Accounting and Economics, Elsevier, vol. 56(2), pages 251-266.
  26. Blau, Benjamin M. & Pinegar, J. Michael, 2013. "Are short sellers incrementally informed prior to earnings announcements?," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 142-155.
  27. Wan, Xiaoyuan, 2024. "Margin-buying, short-selling, and stock valuation: Why is the effect reversed over time in China?," Journal of Empirical Finance, Elsevier, vol. 76(C).
  28. Travis L. Johnson & Eric C. So, 2018. "Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns," Journal of Accounting Research, Wiley Blackwell, vol. 56(1), pages 217-263, March.
  29. Muñoz, Francisco, 2013. "Liquidity and firm investment: Evidence for Latin America," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 18-29.
  30. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
  31. Edward A. E. Jones & Anthony K. Kyiu & Hao Li, 2021. "Earnings informativeness and trading frequency: Evidence from African markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1064-1086, January.
  32. Gerlinde Fellner & Erik Theissen, 2006. "Short Sale Constraints, Divergence of Opinion and Asset Values: Evidence from the Laboratory," Labsi Experimental Economics Laboratory University of Siena 009, University of Siena.
  33. Blacconiere, Walter G. & Frederickson, James R. & Johnson, Marilyn F. & Lewis, Melissa F., 2011. "Are voluntary disclosures that disavow the reliability of mandated fair value information informative or opportunistic?," Journal of Accounting and Economics, Elsevier, vol. 52(2), pages 235-251.
  34. Neilson, Jed J., 2022. "Investor information gathering and the resolution of uncertainty," Journal of Accounting and Economics, Elsevier, vol. 74(1).
  35. Xiao, Xijuan & Yamamoto, Ryuichi, 2024. "Overnight earnings announcements and preopening price discovery," Japan and the World Economy, Elsevier, vol. 70(C).
  36. Gregory Weitzner, 2023. "The Term Structure of Short Selling Costs," Review of Finance, European Finance Association, vol. 27(6), pages 2125-2161.
  37. Tan, Xiaoyu & Zhang, Zili & Zhao, Xuejun & Wang, Chengxiang, 2021. "Investor sentiment and limits of arbitrage: Evidence from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 577-595.
  38. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Policy uncertainty and stock market volatility revisited: The predictive role of signal quality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2307-2321, December.
  39. Min Bai & Xiao-Ming Li & Yafeng Qin, 2016. "Short-selling constraints and stock-valuation pattern: a regime–event analysis," Applied Economics, Taylor & Francis Journals, vol. 48(56), pages 5462-5484, December.
  40. DeLisle, R. Jared & Grant, Andrew & Mao, Ruiqi, 2024. "Does environmental and social performance affect pricing efficiency? Evidence from earnings conference call tones," Journal of Corporate Finance, Elsevier, vol. 86(C).
  41. Swastika, Putri & Dewandaru, Ginanjar & Masih, Mansur, 2013. "Does Restricted Short Selling Bring Benefit to Stocks Listed in Islamic Capital Market? New Evidence from Malaysia based on Dynamic Panel Heterogeneous Techniques," MPRA Paper 58833, University Library of Munich, Germany.
  42. Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2018. "How money illusions and heterogeneous beliefs affect asset prices," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 167-192.
  43. Jin, Shunyao & Kimbrough, Michael D. & Wang, Isabel Yanyan, 2024. "Privileged information access, analyst consensus building, and stock return volatility: Evidence from the JOBS Act," Advances in accounting, Elsevier, vol. 64(C).
  44. Chih-Hsiang Chang & Wen-Shan Chiang, 2014. "Conditioned Responses towards Measures Relating to the Capital Cost of Short Sellers: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-27.
  45. Kim, Dongcheol & Na, Haejung, 2016. "The forecast dispersion anomaly revisited: Time-series forecast dispersion and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 37-53.
  46. Fang, Vivian W. & Noe, Thomas H. & Tice, Sheri, 2009. "Stock market liquidity and firm value," Journal of Financial Economics, Elsevier, vol. 94(1), pages 150-169, October.
  47. David Veenman & Patrick Verwijmeren, 2022. "The Earnings Expectations Game and the Dispersion Anomaly," Management Science, INFORMS, vol. 68(4), pages 3129-3149, April.
  48. Han, Yufeng & Zhou, Guofu & Zhu, Yingzi, 2016. "A trend factor: Any economic gains from using information over investment horizons?," Journal of Financial Economics, Elsevier, vol. 122(2), pages 352-375.
  49. Zhang, Teng & Xu, Zhiwei, 2023. "The informational feedback effect of stock prices on corporate investments: A comparison of new energy firms and traditional energy firms in China," Energy Economics, Elsevier, vol. 127(PA).
  50. Hirota, Shinichi, 2023. "Money supply, opinion dispersion, and stock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1286-1310.
  51. Liu, Bibo & Wang, Huijun & Yu, Jianfeng & Zhao, Shen, 2020. "Time-varying demand for lottery: Speculation ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 138(3), pages 789-817.
  52. Wang, Yuchen & Wang, Xiaoming, 2023. "Economic policy uncertainty and information intermediary: The case of short seller," Economic Modelling, Elsevier, vol. 120(C).
  53. Kent Daniel & Alexander Klos & Simon Rottke, 2018. "The Dynamics of Disagreement," NBER Working Papers 25346, National Bureau of Economic Research, Inc.
  54. Johannes M. Lehner & David McMillan, 2015. "Making sense in asset markets: Strategies for Implicit Organizations," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1024022-102, December.
  55. Kai‐Min Huang & I‐Doun Kuo & Rong‐Tsorng Wang, 2022. "Resale options and heterogeneous beliefs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 1067-1083, June.
  56. Zolotoy, Leon & O'Sullivan, Don & Chen, Yangyang, 2019. "Local religious norms, corporate social responsibility, and firm value," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 218-233.
  57. Panos N. Patatoukas & Richard G. Sloan & Annika Yu Wang, 2022. "Valuation Uncertainty and Short-Sales Constraints: Evidence from the IPO Aftermarket," Management Science, INFORMS, vol. 68(1), pages 608-634, January.
  58. Li, Yan & Liang, Chao & L.D. Huynh, Toan, 2022. "A new momentum measurement in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  59. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
  60. Sheng, Xuguang (Simon) & Thevenot, Maya, 2015. "Quantifying differential interpretation of public information using financial analysts’ earnings forecasts," International Journal of Forecasting, Elsevier, vol. 31(2), pages 515-530.
  61. Theissen, Erik & Zimmermann, Lukas, 2020. "Do contented customers make shareholders wealthy? Implications of intangibles for security pricing," CFR Working Papers 20-12, University of Cologne, Centre for Financial Research (CFR).
  62. Ikeda, Naoshi, 2023. "Optimism, divergence of investors’ opinions, and the long-run underperformance of IPOs," Journal of Financial Markets, Elsevier, vol. 64(C).
  63. Banerjee, Pradip & Chatrath, Arjun & Christie-David, Rohan & Maitra, Debasish, 2018. "The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets," Global Finance Journal, Elsevier, vol. 35(C), pages 157-169.
  64. Lin, Xudong & Zhu, Hao & Meng, Yiqun, 2023. "ESG greenwashing and equity mispricing: Evidence from China," Finance Research Letters, Elsevier, vol. 58(PD).
  65. Giannini, Robert & Irvine, Paul & Shu, Tao, 2019. "The convergence and divergence of investors' opinions around earnings news: Evidence from a social network," Journal of Financial Markets, Elsevier, vol. 42(C), pages 94-120.
  66. Zhuo Li & Meiyu Tian & Guangda Ouyang & Fenghua Wen, 2021. "Relationship between investor sentiment and earnings news in high‐ and low‐sentiment periods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2748-2765, April.
  67. Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022. "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1295-1315.
  68. Al-Nasseri, Alya & Menla Ali, Faek, 2018. "What does investors' online divergence of opinion tell us about stock returns and trading volume?," Journal of Business Research, Elsevier, vol. 86(C), pages 166-178.
  69. Huang, Peng & Officer, Micah S. & Powell, Ronan, 2016. "Method of payment and risk mitigation in cross-border mergers and acquisitions," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 216-234.
  70. Sati P. Bandyopadhyay & Alan Guoming Huang & Kevin Jialin Sun & Tony S. Wirjanto, 2017. "The return premiums to accruals quality," Review of Quantitative Finance and Accounting, Springer, vol. 48(1), pages 83-115, January.
  71. Turan G. Bali & Andriy Bodnaruk & Anna Scherbina & Yi Tang, 2018. "Unusual News Flow and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 64(9), pages 4137-4155, September.
  72. Nicholas Seybert & Holly I. Yang, 2012. "The Party's Over: The Role of Earnings Guidance in Resolving Sentiment-Driven Overvaluation," Management Science, INFORMS, vol. 58(2), pages 308-319, February.
  73. Yaniv Konchitchki & Yan Luo & Mary L. Z. Ma & Feng Wu, 2016. "Accounting-based downside risk, cost of capital, and the macroeconomy," Review of Accounting Studies, Springer, vol. 21(1), pages 1-36, March.
  74. Diogo Silva & António Cerqueira, 2021. "Financial Reporting Quality and Investors' Divergence of Opinion†," Accounting Perspectives, John Wiley & Sons, vol. 20(1), pages 79-107, March.
  75. Carlo D'Augusta & Sasson Bar-Yosef & Annalisa Prencipe, 2016. "The Effects of Conservative Reporting on Investor Disagreement," European Accounting Review, Taylor & Francis Journals, vol. 25(3), pages 451-485, September.
  76. Leippold, Markus & Lohre, Harald, 2014. "The dispersion effect in international stock returns," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 331-342.
  77. Yan, Zhipeng & Cheng, Lee-Young & Zhao, Yan & Huang, Chung-Yuan, 2016. "Daily short covering activity and the weekend effect: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 166-184.
  78. Jean-Sébastien Michel & J. Ari Pandes, 2013. "Why Do Analysts Disagree ?," Cahiers de recherche 1305, CIRPEE.
  79. Gharghori, Philip & See, Quin & Veeraraghavan, Madhu, 2011. "Difference of opinion and the cross-section of equity returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 435-446, September.
  80. Khedmati, Mehdi & Navissi, Farshid & Shams, Syed & Vinkler, Daniel, 2015. "News announcement effects of compliance with section 404 of SOX: Evidence from non-accelerated filers," Journal of Contemporary Accounting and Economics, Elsevier, vol. 11(3), pages 231-244.
  81. Bai, Min & Li, Xiao-Ming & Qin, Yafeng, 2017. "Shortability and asset pricing model: Evidence from the Hong Kong stock market," Journal of Banking & Finance, Elsevier, vol. 85(C), pages 15-29.
  82. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
  83. Kang, Wenjin & Li, Nan & Zhang, Huiping, 2019. "Information uncertainty and the pricing of liquidity," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 77-96.
  84. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
  85. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).
  86. Zhou, Xuemei & Liu, Qiang & Guo, Shuxin, 2021. "Do overnight returns explain firm-specific investor sentiment in China?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 451-477.
  87. Sheridan Titman & Naoto Isaka, 2014. "Long-run Effects of Minimum Trading Unit Reductions on Stock Prices," International Review of Finance, International Review of Finance Ltd., vol. 14(1), pages 75-103, March.
  88. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2022. "Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors," Economic Modelling, Elsevier, vol. 107(C).
  89. D’Augusta, Carlo & De Vito, Antonio & Grossetti, Francesco, 2023. "Words and numbers: A disagreement story from post-earnings announcement return and volume patterns," Finance Research Letters, Elsevier, vol. 54(C).
  90. Fang, Yi & Zhou, Xin & Wen, Yi-Feng & Ou, Qi-Lang, 2024. "Volume and stock returns in the Chinese market," International Review of Financial Analysis, Elsevier, vol. 94(C).
  91. Valentin Dimitrov & Prem C. Jain, 2011. "It's Showtime: Do Managers Report Better News Before Annual Shareholder Meetings?," Journal of Accounting Research, Wiley Blackwell, vol. 49(5), pages 1193-1221, December.
  92. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.
  93. Baig, Ahmed S. & Sabah, Nasim, 2020. "Does short selling affect the clustering of stock prices?," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 270-277.
  94. Fellner, Gerlinde & Theissen, Erik, 2014. "Short sale constraints, divergence of opinion and asset prices: Evidence from the laboratory," Journal of Economic Behavior & Organization, Elsevier, vol. 101(C), pages 113-127.
  95. Fang, Yue & Luo, Deming & Yao, Zhongwei, 2024. "Belief dispersion in the Chinese stock market and fund flows," Journal of Banking & Finance, Elsevier, vol. 166(C).
  96. Contreras, Harold & Marcet, Francisco, 2021. "Sell-side analyst heterogeneity and insider trading," Journal of Corporate Finance, Elsevier, vol. 66(C).
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